I was a bit suprised at how little medical liteature there is on the subject. These are 3 of the most recent articles, with others being scattered over the previous 10-years--just not much.

If you want a full copy of any of these, take the citations to your local library or, if you have a large hospital near-by, to their medical library where they may have these journals or they may be willing to get the full articles.
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J Neurol Neurosurg Psychiatry. 2006 May;77(5):690-2.
Cluster headache in women: relation with menstruation, use of oral contraceptives, pregnancy, and menopause.
van Vliet JA, Favier I, Helmerhorst FM, Haan J, Ferrari MD.
SourceDepartment of Neurology, Medical Centre Haaglanden, The Hague, Netherlands.

Abstract
In contrast with migraine, little is known about the relation between cluster headache and menstrual cycle, oral contraceptives, pregnancy, and menopause. A population based questionnaire study was performed among 224 female cluster headache patients, and the possible effect of hormonal influences on cluster headache attacks studied. For control data, a similar but adjusted questionnaire was sent to healthy volunteers and migraine patients. It was found that menstruation, use of oral contraceptives, pregnancy, and menopause had a much smaller influence on cluster headache attacks than in migraine. Cluster headache can, however, have a large impact on individual women, for example to refrain from having children.

PMID:16407458[PubMed]
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Headache. 2007 Jul-Aug;47(7):1093-5.
Pure menstrual cluster headache.
Rozen TD.
SourceMichigan Head Pain and Neurological Institute-Neurology, 3120 Professional Drive, Ann Arbor, MI 48104, USA.

Abstract
The influence of the menstrual cycle on female cluster headache is not well documented in the literature. A case patient is presented who had cluster headaches only during her menstrual cycles. This appears to be the first ever reported case of pure menstrual cluster headache.

PMID:17635603[PubMed]
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Pain Headache Rep. 2011 Oct;15(5):407-14.
Sex hormones and primary headaches other than migraine.
Lieba-Samal D, Wöber C.
SourceDepartment of Neurology, Medical University of Vienna, Währinger Gürtel 18-20, 1090 Vienna, Austria.

Abstract
The relation between sex hormones and migraine has been examined in a series of studies, leading to the definitions of pure menstrual migraine and menstrually-related migraine. The relation between sex hormones and other types of primary headache has been studied less extensively, but there is at least some evidence that hormones in general, and menstruation, pregnancy, or menopause in particular, also impact these disorders. This article reviews the available literature on changes of tension-type headache, cluster headache, other trigeminal autonomic cephalalgias, and hemicrania continua during women's reproductive periods.

PMID:21573925[PubMed]